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Towards a Measure of Financial Fragility

Abstract:

The paper proposes a measure of financial fragility that is based on economic welfare in a general equilibrium model calibrated against UK data. The model comprises a household sector, three active heterogeneous banks, a central bank/regulator, incomplete markets, and endogenous default. We address the impact of monetary and regulatory policy, credit and capital shocks in the real and financial sectors and how the response of the economy to shocks relates to our measure of financial fragility...

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Dimitrios Tsomocos More by this author
Oriol Aspacs More by this author
Charles Goodhart More by this author
Lea Zicchino More by this author
Publication date:
2007-01-05
URN:
uuid:a76a50e5-3d47-489a-904a-6247a418a200
Local pid:
oai:eureka.sbs.ox.ac.uk:1857

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